Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Oct 13

Econometric tools for performance and risk analysis

Posted by abiao at 19:31 | Code » R/Splus | Comments(0) | Reads(7506)
Library of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams.

We created this library to include functionality that has been appearing in the academic literature on performance analysis and risk over the past several years, but had no functional equivalent in R. In doing so, we also found it valuable to have wrapper functions for functionality easily replicated in R, so that we could access that functionality using a function with defaults and naming consistent with common usage in the finance literature. The following sections cover Performance Analysis, Risk Analysis (with a separate treatment of VaR), Summary Tables of related statistics, Charts and Graphs, a variety of Wrappers and Utility functions, and some thoughts on work yet to be done.


http://braverock.com/brian/R/PerformanceAnalytics/html/PerformanceAnalytics-package.html


Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]